Multi timeframe synchronization issue

[afshinmoshrefi]

I am writing an indicator that has 3 min YM data as the main data and I've added 1 min data as the second timeframe.

The issue I have is that the Highs and Lows of the minute data and 3 min data do not synchronize.

I expect the high of one of the 1 minute bars and the low of one of the 1 min bars to be the same as the high and low of the 3 min bars but it is not. The following demonstrates the issue. The first shown # is BarsInProgress. 0 is 3min 1 is 1min. My indicator is failing due to this issue. How can I fix it?

This data is for YM on 2/28/2013




0: CurrentBar=260- Open[0]=14071- High[0]=14076- Low[0]=14054- Close[0]=14054
1: CurrentBar=766- Open[0]=14065- High[0]=14068- Low[0]=14054- Close[0]=14054
1: CurrentBar=767- Open[0]=14054- High[0]=14055- Low[0]=14048- Close[0]=14050
1: CurrentBar=768- Open[0]=14050- High[0]=14051- Low[0]=14043- Close[0]=14051
0: CurrentBar=261- Open[0]=14054- High[0]=14057- Low[0]=14043- Close[0]=14057
1: CurrentBar=769- Open[0]=14051- High[0]=14057- Low[0]=14050- Close[0]=14057
1: CurrentBar=770- Open[0]=14057- High[0]=14061- Low[0]=14055- Close[0]=14061
1: CurrentBar=771- Open[0]=14061- High[0]=14064- Low[0]=14056- Close[0]=14059
0: CurrentBar=262- Open[0]=14057- High[0]=14064- Low[0]=14053- Close[0]=14053
1: CurrentBar=772- Open[0]=14059- High[0]=14060- Low[0]=14053- Close[0]=14053
1: CurrentBar=773- Open[0]=14054- High[0]=14062- Low[0]=14054- Close[0]=14058
1: CurrentBar=774- Open[0]=14059- High[0]=14059- Low[0]=14052- Close[0]=14056

[NinjaTrader_Bertrand]

afshinmoshrefi, so this script would be run from one 3 minute primary chart? And not a manual added 1 min in there?

[afshinmoshrefi]

The chart is a 3 minute YM chart. I've added 1 minute data to initialize as follows:

protected override void Initialize()
{
Overlay= true;
Add(PeriodType.Minute,1);
}

The data was printed to output with the following statement in onBarUpdate:

Print(BarsInProgress+": CurrentBar="+CurrentBar+"- Open[0]="+Open[0]+"- High[0]="+High[0]+"- Low[0]="+Low[0]+"- Close[0]="+Close[0]);


My issue is that I was expecting the High and Low of 3 minute bar to be synchronized with highs and lows of the corresponding 1 minute bar. at least 1 of 1min bar highs should match the 3 min and same with the lows but they are not. It seems that 1 min bars and 3 minute bars are out of sync!


Afshin

[NinjaTrader_Bertrand]

I would suggest you print the series timestamp via Time[0] as well to know exactly which bar you're comparing to which one.

NinjaTrader stamps the bar on the close of each candle, so for the price values to be contained in the finer series you would have to look up in your print output as this would relay the 'intrabar data' then.

[afshinmoshrefi]

That helped. The 3 min and 1 min bars are out of sync: the 3 consecutive 1 minute bars are distributed between 2 different 3 min bars.

0:Time[0]=3/1/2013 7:15:00 AM: CurrentBar=260- Open[0]=13995- High[0]=13997- Low[0]=13993- Close[0]=13993
1:Time[0]=3/1/2013 7:15:00 AM: CurrentBar=693- Open[0]=13994- High[0]=13994- Low[0]=13993- Close[0]=13993
1:Time[0]=3/1/2013 7:16:00 AM: CurrentBar=694- Open[0]=13993- High[0]=13993- Low[0]=13989- Close[0]=13989
1:Time[0]=3/1/2013 7:17:00 AM: CurrentBar=695- Open[0]=13989- High[0]=13989- Low[0]=13986- Close[0]=13989
0:Time[0]=3/1/2013 7:18:00 AM: CurrentBar=261- Open[0]=13993- High[0]=13993- Low[0]=13986- Close[0]=13987
1:Time[0]=3/1/2013 7:18:00 AM: CurrentBar=696- Open[0]=13989- High[0]=13990- Low[0]=13987- Close[0]=13987
1:Time[0]=3/1/2013 7:19:00 AM: CurrentBar=697- Open[0]=13987- High[0]=13989- Low[0]=13984- Close[0]=13985
1:Time[0]=3/1/2013 7:20:00 AM: CurrentBar=698- Open[0]=13985- High[0]=13985- Low[0]=13975- Close[0]=13976
0:Time[0]=3/1/2013 7:21:00 AM: CurrentBar=262- Open[0]=13987- High[0]=13989- Low[0]=13975- Close[0]=13977
1:Time[0]=3/1/2013 7:21:00 AM: CurrentBar=699- Open[0]=13976- High[0]=13978- Low[0]=13975- Close[0]=13977
1:Time[0]=3/1/2013 7:22:00 AM: CurrentBar=700- Open[0]=13977- High[0]=13980- Low[0]=13976- Close[0]=13978
1:Time[0]=3/1/2013 7:23:00 AM: CurrentBar=701- Open[0]=13978- High[0]=13982- Low[0]=13978- Close[0]=13981

[afshinmoshrefi]

Is This a Ninja Bug??

There must be an issue with sync between 3 min and 1 min bars with Historical data.
Please look at attached. The highlighted bars are the 3 min and 3, 1 min bars that correspond to each other. The last 1 min bar is reported too late and assignment of CurrentBars[0] is for the next bar.


Is there a way I can fix the synchronization of 3min and 1min bars when looking at historicals?

Thansks,

Afshin

[koganam]

There must be an issue with sync between 3 min and 1 min bars with Historical data.
Please look at attached. The highlighted bars are the 3 min and 3, 1 min bars that correspond to each other. The last 1 min bar is reported too late and assignment of CurrentBars[0] is for the next bar.


Is there a way I can fix the synchronization of 3min and 1min bars when looking at historicals?

Thansks,

Afshin

ref: http://www.ninjatrader.com/support/f...ead.php?t=3572

[afshinmoshrefi]

This tutorial does not show how to fix the synchronization issue. the 1 min bars and 3 minute bars are not properly synchronized unless I'm missing something. Please look at the attached GIF and tell me if this behavior is expected.

[koganam]

This tutorial does not show how to fix the synchronization issue. the 1 min bars and 3 minute bars are not properly synchronized unless I'm missing something. Please look at the attached GIF and tell me if this behavior is expected.

The example specifically talks about synchronizing the secondary barSeries. Heck, it is practically the title of the post.

[afshinmoshrefi]

I don't see how to fix the synchronization issue. this tutorial explains how it should work. I think I understand it but 1 min bars are out of sync with 3 min bars by 1 bar. I don't understand how to fix that.

The GIF I've attached shows that minute bar series is out of sync with 3 min bar series. the first 2 min bars and 3rd minute bar are part of 2 different 3 min bars while they should be part of the same 3 minute bar. I can hack it in the code to get the indicator working but this just doesn't make sense.

[koganam]

I don't see how to fix the synchronization issue. this tutorial explains how it should work. I think I understand it but 1 min bars are out of sync with 3 min bars by 1 bar. I don't understand how to fix that.

The GIF I've attached shows that minute bar series is out of sync with 3 min bar series. the first 2 min bars and 3rd minute bar are part of 2 different 3 min bars while they should be part of the same 3 minute bar. I can hack it in the code to get the indicator working but this just doesn't make sense.

There is no GIF.

[afshinmoshrefi]

Is this a bug with Ninja?!

This GIF shows the output of the 1min and 3min bars. I've highlighted the 4 bars which correspond with each other, however, Ninja reports them as part of 2 different 3 minute bars.

[Baruch]

Do all the calculations on BIP==1.

[koganam]

This GIF shows the output of the 1min and 3min bars. I've highlighted the 4 bars which correspond with each other, however, Ninja reports them as part of 2 different 3 minute bars.

What is the time of the very first 1-min bar on the chart?

[afshinmoshrefi]

the first # shows BarsInProgress

0: is 3min bars
1: is 1min bars